Asymptotic Global Robustness in Bayesian Decision Theory

Asymptotic Global Robustness in Bayesian Decision Theory

In Bayesian decision theory, it is known that robustness with respect to the loss and the prior can be improved by adding new observations. In this article we study the rate of robustness improvement with respect to the number of observations n. Three usual measures of posterior global robustness ar...

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Veröffentlicht in:The Annals of Statistics. - Institute of Mathematical Statistics. - 32(2004), 4, Seite 1341-1366
1. Verfasser: Abraham, Christophe (VerfasserIn)
Weitere Verfasser: Cadre, Benoît
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2004
Zugriff auf das übergeordnete Werk:The Annals of Statistics
Schlagworte:Bayesian Decision Theory Asymptotic Robustness Class of Loss Functions Behavioral sciences Mathematics Information science Physical sciences
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520 |a In Bayesian decision theory, it is known that robustness with respect to the loss and the prior can be improved by adding new observations. In this article we study the rate of robustness improvement with respect to the number of observations n. Three usual measures of posterior global robustness are considered: the (range of the) Bayes actions set derived from a class of loss functions, the maximum regret of using a particular loss when the subjective loss belongs to a given class and the range of the posterior expected loss when the loss function ranges over a class. We show that the rate of convergence of the first measure of robustness is √n, while it is n for the other measures under reasonable assumptions on the class of loss functions. We begin with the study of two particular cases to illustrate our results. 
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